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Best Econometrics Books: The Ultimate List

Below I’ll give you my selections for the best Econometrics books by a few categories. I will cover these and other great books more in depth later.

Mostly Harmless Econometrics: An Empiricist’s Companion (2009)

 Best Econometrics Books: The Ultimate ListThe core methods in today’s econometric toolkit are linear regression for statistical control, instrumental variables methods for the analysis of natural experiments, and differences-in-differences methods that exploit policy changes. In the modern experimentalist paradigm, these techniques address clear causal questions such as: Do smaller classes increase learning? Should wife batterers be arrested? How much does education raise wages?
Author(s): Joshua D. Angrist, Jörn-Steffen Pischke

Real Econometrics: The Right Tools to Answer Important Questions (2019)

 Best Econometrics Books: The Ultimate ListAn engaging and practical introduction to econometrics, Real Econometrics: The Right Tools to Answer Important Questions, offers thorough coverage of the most frequently used methods of analysis.
Author(s): Michael Bailey

A Guide to Econometrics. 6th edition (2008)

 Best Econometrics Books: The Ultimate ListThis is the perfect (and essential) supplement for all econometrics classes–from a rigorous first undergraduate course, to a first master’s, to a PhD course. #129,402 in Books (See Top 100 in Books) #43 in Econometrics (Books) #558 in Economics (Books) Would you like to ?If you are a seller for this product, would you like to ?
Author(s): Peter Kennedy

Introduction to Econometrics (3rd Edition) (2017)

 Best Econometrics Books: The Ultimate ListPlease Read Notes: Brand New, International Softcover Edition, Printed in black and white pages, minor self wear on the cover or pages, Sale restriction may be printed on the book, but Book name, contents, and author are exactly same as Hardcover Edition. Fast delivery through DHL/FedEx express. #38,354 in Books (See Top 100 in Books) #4151 in Textbooks Would you like to ?If you are a seller for this product, would you like to ?
Author(s): H Stock James & W. Watson Mark

Introductory Econometrics for Finance (2019)

 Best Econometrics Books: The Ultimate ListA complete resource for finance students, this textbook presents the most common empirical approaches in finance in a comprehensive and well-illustrated manner that shows how econometrics is used in practice, and includes detailed case studies to explain how the techniques are used in relevant financial contexts.
Author(s): Chris Brooks

Econometrics For Dummies (2013)

 Best Econometrics Books: The Ultimate ListEconometrics can prove challenging for many students unfamiliar with the terms and concepts discussed in a typical econometrics course. Econometrics For Dummies eliminates that confusion with easy-to-understand explanations of important topics in the study of economics.
Author(s): Roberto Pedace

Using Econometrics: A Practical Guide, 7th ed. (2017)

 Best Econometrics Books: The Ultimate ListPlease Read Notes: Brand New, International Softcover Edition, Printed in black and white pages, minor self wear on the cover or pages, Sale restriction may be printed on the book, but Book name, contents, and author are exactly same as Hardcover Edition. Fast delivery through DHL/FedEx express. #302,981 in Books (See Top 100 in Books) Would you like to ?If you are a seller for this product, would you like to ?
Author(s): A. H. Studenmund

Introduction to Econometrics Instructors Manual (1992)

 Best Econometrics Books: The Ultimate ListA basic introduction written in non-technical language, this remarkable text keeps mathematical demands to a minimum so that students can spend less time on technicalities and more on understanding basic concepts.
Author(s): Christoph Dougherty

Basic Econometrics (2017)

 Best Econometrics Books: The Ultimate ListPlease Read Notes: Brand New, International Softcover Edition, Printed in black and white pages, minor self wear on the cover or pages, Sale restriction may be printed on the book, but Book name, contents, and author are exactly same as Hardcover Edition. Fast delivery through DHL/FedEx express.
Author(s): Damodar Gujarati, Dawn Porter, et al.

Financial Econometrics: Models and Methods (2019)

 Best Econometrics Books: The Ultimate ListThis is a thorough exploration of the models and methods of financial econometrics by one of the world’s leading financial econometricians and is for students in economics, finance, statistics, mathematics, and engineering who are interested in financial applications. Based on courses taught around the world, the up-to-date content covers developments in econometrics and finance over the last twenty years while ensuring a solid grounding in the fundamental principles of the field.
Author(s): Oliver Linton

Real Stats: Using Econometrics for Political Science and Public Policy (2015)

 Best Econometrics Books: The Ultimate ListReal Stats offers an engaging and practical introduction to statistical analysis for upper-level undergraduates and first-year graduate students in political science, public policy, and law. Grounded in contemporary understandings of causal inferences, the text invites students to see how econometric tools can help answer important and interesting questions.
Author(s): Michael A. Bailey

Best Econometrics Books: The Ultimate List

We highly recommend you to buy all paper or e-books in a legal way, for example, on Amazon. But sometimes it might be a need to dig deeper beyond the shiny book cover. Before making a purchase, you can visit resources like Library Genesis and download some econometrics books mentioned below at your own risk. Once again, we do not host any illegal or copyrighted files, but simply give our visitors a choice and hope they will make a wise decision.

Applied Spatial Statistics and Econometrics Data Analysis in R

Author(s): Katarzyna Kopczewska
ID: 2735893, Publisher: Routledge, Year: 2021, Size: 364 Mb, Format: pdf

Data Science for Financial Econometrics

Author(s): Nguyen Ngoc Thach, Vladik Kreinovich, Nguyen Duc Trung
ID: 2815114, Publisher: Springer, Year: 2021, Size: 13 Mb, Format: pdf

Recent Econometric Techniques for Macroeconomic and Financial Data

Author(s): Gilles Dufrénot, Takashi Matsuki
ID: 2821905, Publisher: Springer, Year: 2021, Size: 10 Mb, Format: pdf

Please note that this booklist is not final. Some books are truly record-breakers according to The New York Times, others are written by unknown authors. On top of that, you can always find additional tutorials and courses on Coursera, Udemy or edX, for example. Are there any other relevant books you could recommend? Drop a comment if you have any feedback on the list.

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